Exotic high tech metals such as rare earth oxides, titanium and nickel wire are increasingly important to semi-conductor, aerospace and high end defence technology R & D and production. As a result – while not market traded and therefore sporadic order dependent and highly volatile – prices...

Economic agents are exposed to the uncertain outcomes of future events. By enabling the exchange of securities, financial markets allow agents to reallocate their exposures in more efficient and mutually convenient arrangements to reduce perceived risks. The complexity and changing nature of the...

At odds with leading UK newspapers and with a wide ranging host of eminent people including Niall Ferguson, Larry Summers, Paul Volcker, Henry Kissinger, Alan Greenspan and Michael Lewis, this reviewer begs to disagree, not simply with the arguments, but with the whole premise of the book. This...

This paper is a compendium of results-theoretical and computational-from a series of recent papers developing a new American option valuation technique based on linear programming (LP). Some further computational results are included for completeness. A proof of the basic analytical theorem is...

We introduce a new methodology to estimate the latent factors of a multivariate jump diffusion process illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent...